Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1821 |
| Annualized Std Dev | 0.2196 |
| Annualized Sharpe (Rf=0%) | -0.8293 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3711.0000 |
| NAs | 1.0000 |
| Minimum | -0.1183 |
| Quartile 1 | -0.0073 |
| Median | -0.0013 |
| Arithmetic Mean | -0.0007 |
| Geometric Mean | -0.0008 |
| Quartile 3 | 0.0048 |
| Maximum | 0.1141 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0011 |
| UCL Mean (0.95) | -0.0003 |
| Variance | 0.0002 |
| Stdev | 0.0138 |
| Skewness | 0.1356 |
| Kurtosis | 7.9876 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0095 |
| Gain Deviation | 0.0110 |
| Loss Deviation | 0.0097 |
| Downside Deviation (MAR=210%) | 0.0151 |
| Downside Deviation (Rf=0%) | 0.0098 |
| Downside Deviation (0%) | 0.0098 |
| Maximum Drawdown | 0.9641 |
| Historical VaR (95%) | -0.0199 |
| Historical ES (95%) | -0.0320 |
| Modified VaR (95%) | -0.0207 |
| Modified ES (95%) | -0.0263 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-02-12 | NA | -0.9641 | 3102 | 3077 | NA |
| 2006-07-24 | 2007-10-31 | 2008-10-07 | -0.3307 | 557 | 322 | 235 |
| 2008-10-28 | 2008-11-04 | 2008-11-19 | -0.1658 | 17 | 6 | 11 |
| 2008-10-13 | 2008-10-13 | 2008-10-15 | -0.1183 | 3 | 1 | 2 |
| 2008-10-16 | 2008-10-20 | 2008-10-24 | -0.0847 | 7 | 3 | 4 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | -0.5 | 1.8 | -0.6 | 0.3 | 1.3 | 1 | 0.1 | 3.5 |
| 2007 | 0.4 | 0.7 | 0.2 | -0.2 | -0.1 | -0.5 | -0.9 | -1.2 | -0.8 | 1.7 | 0.7 | 1.7 | 1.8 |
| 2008 | -0.8 | 1.5 | -3.1 | -3.1 | -0.9 | -1.3 | 1.1 | 1.9 | 1.9 | -0.2 | 7.6 | -1.2 | 2.9 |
| 2009 | 2 | 1 | -1.3 | -0.1 | -3 | -0.1 | 0.4 | 2 | 3.1 | 2.5 | -1.1 | 0.9 | 6 |
| 2010 | -1 | -1.6 | 0 | 2 | 1 | 0.5 | -0.2 | -2.9 | 0.1 | -0.1 | -2.1 | 0.3 | -4 |
| 2011 | -1.8 | 1.6 | 0 | 0.2 | 2.1 | -1.6 | 0.4 | 1 | 2.6 | 2.5 | -0.7 | 0.3 | 6.6 |
| 2012 | -0.8 | -0.8 | 0.2 | -0.2 | 2.6 | -3.1 | 0.3 | -0.7 | 0.1 | -1.4 | 0.1 | -2 | -5.6 |
| 2013 | -1.2 | -0.3 | 0.7 | 0.5 | 0.9 | -0.7 | -1 | 0.6 | -1.1 | 0.1 | -0.6 | -0.5 | -2.7 |
| 2014 | 0.3 | 0 | -1.8 | -0.3 | -0.1 | -1.3 | 0.5 | -0.4 | 1.5 | -1.3 | 1.2 | 1 | -0.7 |
| 2015 | 0.7 | 0.5 | 0.6 | -1.3 | -0.3 | -0.7 | 0.1 | 3 | -0.5 | 0.4 | -1 | 1.2 | 2.7 |
| 2016 | -0.3 | -3.2 | -1 | 0.6 | 0.1 | -0.4 | -0.5 | -0.3 | -0.7 | 0.8 | 1.6 | 1 | -2.6 |
| 2017 | -0.6 | -1.1 | 0.1 | -0.8 | -0.5 | 0.1 | -0.2 | 0.1 | -0.7 | 0 | 0.4 | 0.7 | -2.5 |
| 2018 | 0.9 | 1.7 | -1.8 | -1.1 | -1.6 | -0.1 | -0.5 | -0.2 | -0.2 | -1.4 | -0.8 | -0.9 | -5.9 |
| 2019 | 0.5 | -0.8 | -1.3 | 0.4 | 1.7 | -1.3 | 0.5 | 0.2 | 0.8 | -0.9 | 0.4 | -0.2 | 0.1 |
| 2020 | 1.6 | -0.3 | 4.1 | 3 | -0.6 | -1.2 | -1.7 | -1.5 | -1.6 | 2.5 | -1.4 | -0.3 | 2.4 |
| 2021 | -2.5 | -2.7 | -0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -5.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
